At a number of points throughout the day (also referred to as cut-off times) the system saves the IR market rates into the database for that date.
The supported cut-off times are as follows:
London 12 am
London 6 pm
London 5 pm
London 4 pm
London 3 pm
London 12 pm
New York 5 pm
New York 4 pm
New York 3 pm
Tokyo 3 pm
Tokyo 4 pm
In SDX Interest Rates when you price an instrument for a historical trade date by default the system uses the market data saved in the system for that date at the default end of day cut-off time of London 12 am. This is true both for SD rates and for any rates that you upload to SDX Interest Rates.
However, for your own user you can customize the cut-off time to be used for each currency in historical pricing. That is, for each supported currency you can instruct the system that for any historical date it should use the market rates saved for that date at one of the supported cut-off times other than London 12 am. So for USD you can choose to use the New York 5 pm cut-off time and for JPY you can choose to use the Tokyo 4 pm cut-off time.
You do this via the Settings window (see Customizing SDX Interest Rates) > Default Settings tab > Currency tab.
In this tab you can define a different cut-off time for each currency. Alternatively you can assign the same cut-off time to all currencies by first assigning the time to the current currency and then clicking the Apply to All Currencies button.
If you click this button, the system will temporarily apply this cut-off time to all currencies. To save this setting permanently in the system for all currencies you must save the profile. You can of course then manually edit the cut-off time for any individual currency by selecting it and changing the cut-off time.
It is important to note that:
If the instrument contains more than one currency, e.g., the cross currency swap or a quanto swap, then the system must decide which currency’s cut-off time to use for both of them. If the instrument is:
In the Portfolio page, the system uses the cut-off time defined for the portfolio's currency.
In the Single Option page, the system uses the cut-off time defined for the currency of the left leg.
A hybrid instrument, such as PRDC, the system uses the cut-off time defined for the primary currency.
For a historical date the market data pages also display the data according to the defined cut-off time for the selected currency.
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This feature does not affect the market data used in SDX Interest Rates when pricing an instrument on the current date. In that situation by default SDX Interest Rates always uses the live market data, unless you choose a different cut-off time for that instrument in the pricing page in the Cut Off dropdown list. |
To customize the market rates cut-off time per currency for historical pricing:
| 1. | Access the Settings window (see Accessing the Settings Window). |
| 2. | From the View Profile Settings dropdown list select the profile you want to see the settings for. |
| 3. | In the Default Settings tab click the Currency tab. |
| 4. | Make any necessary changes. |
| 5. | If you are in: |
The SD profile you can save these changes to your MyProfile profile (by clicking the Save as MyProfile button and then clicking Yes) or to a public profile (by clicking the Save as Profile button, entering a profile name and user group, and then clicking Save and then OK).
A public profile you can save these changes to your MyProfile profile (by clicking the Save as MyProfile button) or to the current public profile (by clicking the Save as Profile button and then Save and then OK).
Your MyProfile profile you can only save these changes to your MyProfile by clicking the Save as MyProfile button and then clicking Yes.
The changes are saved.
| 6. | If you want your changes applied to the current window click Yes. The changes are applied. |